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Minimizing Shortfall

Goldberg, Lisa and Hayes, Michael and Mahmoud, Ola. (2013) Minimizing Shortfall. Quantitative finance, 13 (10).

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Official URL: https://edoc.unibas.ch/74250/

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Abstract

This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like Value, and away from aggressive factors like Growth and Momentum. The outperformance is largest for the shortfall that measures overall asymmetry rather than the extreme losses.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Corporate Finance (Mahmoud)
UniBasel Contributors:Mahmoud, Ola
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Routledge
ISSN:1469-7688
Note:Publication type according to Uni Basel Research Database: Journal article
Last Modified:26 May 2020 10:24
Deposited On:26 May 2020 10:24

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